IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/43330.html
   My bibliography  Save this paper

Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH

Author

Listed:
  • Ari, Yakup

Abstract

Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH has a single source variability like GARCH, but also it is constructed on driving Levy Process since increments of Levy Process is replaced with the innovations in the discrete time. in this study, the proper model for the volatility is shown to represent foreign exchange rate of USD versus TRY for different period of time from January 2009 to December 2011.

Suggested Citation

  • Ari, Yakup, 2012. "Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH," MPRA Paper 43330, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:43330
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/43330/1/MPRA_paper_43330.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Volatility; Levy Process; GARCH; EGARCH; TGARCH; COGARCH;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43330. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.